The term structure of yield curve and connectedness among ESG investments

Najaf Iqbal, Zaghum Umar, Asif M. Ruman and Shaohua Jiang

Research in International Business and Finance, 2024, vol. 67, issue PA

Abstract: We examine the connectedness of different components of the US treasury’s term structure with ESG (Environment, Social, and Governance) leader indices regarding return and volatility. The EMU (Economic and Monetary Union) and the UK lie at the center of the network. The connectedness is time-varying and versatile regarding return- and volatility spillovers and various components of the US treasury yield curve. The long-term rates influence returns, whereas the short- and medium-term are dominant regarding volatility spillovers. Interestingly, both return- and volatility spillovers from the yield curve components change behaviors/directions during the GFC and COVID-19. Importantly, long-term interest rates are significant shock transmitters during times of stress. Our findings have implications for ESG investors, who should keep in mind the shape of the yield curve while making portfolio choices and investment-horizon decisions.

Keywords: US term structure of interest rates; ESG leader indices; Connectedness; Return and volatility; Long- and short-run; Crisis periods (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002714

DOI: 10.1016/j.ribaf.2023.102145

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